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We compare the accuracy of the Bulk Volume classification (BVC) to that of the conventional rules: the tick rule (TR …
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Asquith, Oman, and Safaya (2010) conclude that short sales are often misclassified by the Lee-Ready algorithm. The algorithm identifies most short sales as buyer-initiated, whereas the authors posit that short sales should be overwhelmingly seller-initiated. Using order data to identify true...
Persistent link: https://www.econbiz.de/10013112076
Asquith, Oman, and Safaya (2010) conclude that short sales are often misclassified by the Lee-Ready algorithm. The algorithm identifies most short sales as buyer-initiated, whereas the authors posit that short sales should be overwhelmingly seller-initiated. Using order data to identify true...
Persistent link: https://www.econbiz.de/10013115258